Model of Financial Data as Integral of Diffusion Process
Valeriya V. Bondarenko · Journal of Automation and Information Sciences · 2011
The model of financial data as integral of diffusion process is proposed. The covariance function and one-dimensional distribution of the model have been examined, estimates for the model parameters have been built and prediction problem for the special case has been solved. Two examples of financial data prove the adequacy of the proposed model.